Nontraded goods, nontraded factors, and international non-diversification

被引：51

作者：

Baxter, M

Jermann, UJ

King, RG

机构：

[1] Univ Virginia, Dept Econ, Charlottesville, VA 22903 USA

[2] Univ Penn, Wharton Sch, Dept Finance, Philadelphia, PA 19104 USA

来源：

JOURNAL OF INTERNATIONAL ECONOMICS | 1998年 / 44卷 / 02期

关键词：

international diversification; nontraded goods; optimal portfolio choice;

D O I：

10.1016/S0022-1996(97)00018-4

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Can the presence of nontraded consumption goods or nontraded factors of production explain the high degree of "home bias" displayed by investor portfolios? We find that the answer is no, so long as individuals have access to free international trade in financial assets. In particular, it is never optimal to exhibit home bias with respect to domestic traded-good equities, By contrast, holdings of nontraded-good equities in an optimal portfolio will depend sensitively on the elasticity of substitution between traded and nontraded goods. (C) 1998 Elsevier Science B.V.

引用

页码：211 / 229

页数：19